class SolverGurobi(Solver):
def __init__(self):
Solver.__init__(self, GRB.BINARY, GRB.CONTINUOUS, GRB.INTEGER, GRB.OPTIMAL, GRB.INFEASIBLE, GRB.UNBOUNDED, GRB.INTERRUPTED, GRB.SUBOPTIMAL, GRB.EQUAL, GRB.LESS_EQUAL, GRB.GREATER_EQUAL, GRB.MAXIMIZE, GRB.MINIMIZE, GRB.INFINITY)
setParam('OutputFlag', 0)
setParam('IntFeasTol', 1e-9)
self.problem = Model('gurobi_problem')
def _add_variable(self, var):
if var.var_type == self.BINARY:
self.problem.addVar(name=var.name, vtype=var.var_type)
else:
self.problem.addVar(name=var.name, lb=var.lower_bound, ub=var.upper_bound, vtype=var.var_type)
def _del_variable(self, name):
self.problem.remove(self.problem.getVarByName(name))
def _add_constraint(self, const):
lhs = LinExpr()
for elem in const.lhs:
var = self.problem.getVarByName(elem.name)
lhs.add(var, elem.coefficient)
self.problem.addConstr(lhs, const.sense, const.rhs, const.name)
def _del_constraint(self, name):
self.problem.remove(self.problem.getConstrByName(name))
def update(self):
self.problem.update()
def _set_objective(self, objective):
expr = LinExpr()
for elem in objective.expr:
var = self.problem.getVarByName(elem.name)
expr.add(var, elem.coefficient)
self.problem.setObjective(expr, objective.sense)
def get_variable_value(self, name):
return self.problem.getVarByName(name).x
def get_objective_value(self):
return self.problem.objVal
def get_solution_status(self):
return self.problem.status
def _optimize(self):
self.problem.optimize()
class BendersSolver:
def __init__(self, supply, agents, approximator, log):
"""
:param b: b of LP. If n=len(agents) then the first n values are 1./alpha and n+1 value is supply/alpha.
:param agents: List of agents.
"""
# Setting up master problem
self.m = Model("master-problem")
self.m.params.LogToConsole = 0
# noinspection PyArgumentList,PyArgumentList,PyArgumentList
self.z = self.m.addVar(lb=-GRB.INFINITY, ub=GRB.INFINITY, name="z")
self.approximator = approximator
self.agents = agents
self.log = log
self.allocations = {'X0': Allocation()}
self.b = [(1. / self.approximator.gap) for i in range(0, len(self.agents))]
self.b.append(supply / self.approximator.gap)
# noinspection PyArgumentList,PyArgumentList,PyArgumentList
self.price_var = self.m.addVar(lb=-GRB.INFINITY, ub=0, name="price")
self.utility_vars = dict()
for agent in self.agents:
# noinspection PyArgumentList,PyArgumentList,PyArgumentList
self.utility_vars[agent.id] = self.m.addVar(lb=-GRB.INFINITY, ub=0, name="u_%s" % agent.id)
self.m.update()
# Initial constraints for empty allocation
self.add_benders_cut(Allocation(), "X0")
self.old_price_constraint = 0.
self.add_price_constraint(0.)
self.m.setObjective(self.z, GRB.MAXIMIZE)
self.price_changed = False
self.give_second_chance = True
self.old_z = 0.
self.old_utilities = dict()
@property
def price(self):
"""
:return: Returns current price (positive).
"""
try:
return math.fabs(self.price_var.x)
except GurobiError:
return None
@property
def utilities(self):
"""
:return: Returns current utilities (positive): dict(agent_id: utility)
"""
return dict((v[0], math.fabs(v[1].x)) for v in self.utility_vars.iteritems())
@property
def objective(self):
try:
return self.z.x
except GurobiError:
return 0.
def solve(self):
while self.iterate():
pass
return self.allocations
def iterate(self):
"""
Performs one iteration of the Bender Auction. Optimizes current master problem, requests an approximate \
allocation based on current prices and utilities, calculates phi with current optimal values of master problem \
and then compares this with current z value.
:return: False if auction is done and True if a Bender's cut has been added and the auction continues.
"""
iteration = len(self.allocations)
self.log.log('')
self.log.log('######## ITERATION %s ########' % iteration)
self.optimize()
no_change = self.old_z == self.objective and all(
[any(old_utility == utility for old_utility in self.old_utilities) for utility in self.utilities])
self.log.log("no change ... %s" % no_change)
self.old_z = self.objective
self.old_utilities = self.utilities
# allocation := X
allocation = self.approximator.approximate(self.price, self.utilities)
# first_term - second_term = w*b - (c + wA) * X
# first_term is w*b
first_term = sum([-w * b for w, b in zip(self.utilities.values() + [self.price], self.b)])
# second_term is (c + wA) * X
second_term = 0
for assignment in allocation.assignments:
# for each x_ij which is 1 we generate c + wA which is (for MUA): v_i(j) + price * j + u_i
second_term += self.price * assignment.quantity
second_term += -self.utilities[assignment.agent_id]
second_term += assignment.valuation
phi = first_term - second_term
self.log.log('phi = %s - %s = %s' % (first_term, second_term, phi))
# check if phi with current result of master-problem is z (with tolerance)
if math.fabs(phi - self.z.x) < epsilon or iteration > iteration_abort_threshold:
self.remove_bad_cuts()
self.set_allocation_probabilities()
self.print_results()
return False
else:
self.give_second_chance = True
# otherwise continue and add cut based on this iteration's allocation
allocation_name = 'X%s' % iteration
self.allocations[allocation_name] = allocation
self.add_benders_cut(allocation, allocation_name)
self.set_allocation_probabilities()
return True
def add_price_constraint(self, new_price=None):
if True:
return None
try:
self.m.remove(self.m.getConstrByName("price_constraint"))
except GurobiError:
pass
if new_price != None:
self.old_price_constraint = new_price
else:
self.old_price_constraint -= .5
self.log.log(self.old_price_constraint)
self.m.addConstr(self.price_var, GRB.EQUAL, self.old_price_constraint, name="price_constraint")
def print_results(self):
"""
Prints results in console.
"""
self.log.log('')
self.log.log('####### SUMMARY #######')
self.log.log('')
self.m.write("master-program.lp")
for item in self.allocations.iteritems():
if item[1].probability > 0:
# noinspection PyArgumentList
self.log.log('%s (%s)' % (item[0], item[1].probability))
item[1].print_me(self.log)
self.log.log('')
if self.price_changed:
self.log.log('Price has decreased at some point.')
self.log.log('%s iterations needed' % len(self.allocations))
self.log.log('E[Social welfare] is %s' % -self.z.x)
def optimize(self):
"""
Optimizes current master-problem and outputs optimal values and dual variables
"""
# for observation we save the current price
current_price = self.price if self.price else 0.
self.m.optimize()
if current_price > self.price:
self.price_changed = True
for v in [v for v in self.m.getVars() if v.x != 0.]:
self.log.log('%s %g' % (v.varName, v.x))
for l in self.m.getConstrs():
if l.Pi > 0:
self.log.log('%s %g' % (l.constrName, l.Pi))
def remove_bad_cuts(self):
for l in self.m.getConstrs():
if l.Pi == 0:
self.m.remove(l)
def add_benders_cut(self, allocation, name):
"""
Adds another cut z <= wb - (c + wA) * X.
:param allocation: Allocation as list of Assignment.
:param name: Name for new constraint.
"""
# wb part of cut
expr = LinExpr(self.b, self.utility_vars.values() + [self.price_var])
for assignment in allocation.assignments:
# c
expr.addConstant(-assignment.valuation)
# if w=(u, p) then this is the uA part (for columns where X is 1)
expr.addTerms(-1, self.utility_vars[assignment.agent_id])
# if w=(u, p) then this is the pA part (for columns where X is 1)
expr.addTerms(-assignment.quantity, self.price_var)
# we get v_i(j) + u_i + j * price summed over all i,j where x_ij = 1
self.m.addConstr(self.z, GRB.LESS_EQUAL, expr, name=name)
def set_allocation_probabilities(self):
for item in self.allocations.iteritems():
# noinspection PyArgumentList
constraint = self.m.getConstrByName(item[0])
item[1].probability = constraint.pi if constraint else 0